The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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Discussion
Published: 05/01/1979 | DOI: 10.1111/j.1540-6261.1979.tb02096.x
SUDIPTO BHATTACHARYA
Notes on Multiperiod Valuation and the Pricing of Options
Published: 03/01/1981 | DOI: 10.1111/j.1540-6261.1981.tb03541.x
SUDIPTO BHATTACHARYA
A mean‐variance risk‐return tradeoff relationship is derived for the diffusion process limiting case of a state‐preference model, with aggregate consumption serving as a pivotal variable. The model is compared to other recent models along the dimensions of generality and tractable implementation. The incorporation of stochastic interest rates in general equilibrium and arbitrage‐based valuation models is examined, and an extension to earlier methods is discussed, in connection with the implementation of “robust” general valuation procedures.
Insider Trading, Investment, and Liquidity: A Welfare Analysis
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00359
Sudipto Bhattacharya, Giovanna Nicodano
We compare equilibrium trading outcomes with and without participation by an informed insider, assuming inflexible ex ante aggregate investment choices by agents. Noise trading arises from aggregate uncertainty regarding other agents' intertemporal consumption preferences. The welfare levels of outsiders can thus be ascertained. The allocations without insider trading are not ex ante Pareto efficient, because our model differs from standard ones with negative exponential utility functions and normal returns. We characterize the circumstances under which the revelation of payoff‐relevant information via prices—arising from insider trading—benefits outsiders with stochastic liquidity needs, by improving risk‐sharing among them.
On Timing and Selectivity
Published: 07/01/1986 | DOI: 10.1111/j.1540-6261.1986.tb04536.x
ANAT R. ADMATI, SUDIPTO BHATTACHARYA, PAUL PFLEIDERER, STEPHEN A. ROSS
The dichotomy between timing ability and the ability to select individual assets has been widely used in discussing investment performance measurement. This paper discusses the conceptual and econometric problems associated with defining and measuring timing and selectivity. In defining these notions we attempt to capture their intuitive interpretation. We offer two basic modeling approaches, which we term the portfolio approach and the factor approach. We show how the quality of timing and selectivity information can be identified statistically in a number of simple models, and discuss some of the econometric issues associated with these models. In particular, a simple quadratic regression is shown to be valid in measuring timing information.